Stale Information, Shocks and Volatility


Gropp, Reint ; Kadareja, Arjan


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URL: http://ub-madoc.bib.uni-mannheim.de/1492
URN: urn:nbn:de:bsz:180-madoc-14924
Document Type: Working paper
Year of publication: 2007
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: G14 G21 ,
Subject headings (SWD): Volatilität , Wirtschaftsberichterstattung , Aktienmarkt , Einfluss , Europa
Keywords (English): Realised volatility , public information , transparency
Abstract: We propose a new approach to measuring the effect of unobservable private information or beliefs on volatility. Using high-frequency intraday data, we estimate the volatility effect of a well identified shock on the volatility of the stock returns of large European banks as a function of the quality of available public information about the banks. We hypothesise that, as the publicly available information becomes stale, volatility effects and its persistence should increase, as the private information (beliefs) of investors becomes more important. We find strong support for this idea in the data. We argue that the results have implications for debate surrounding the opacity of banks and the transparency requirements that may be imposed on banks under Pillar III of the New Basel Accord.
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Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Gropp, Reint ; Kadareja, Arjan (2007) Stale Information, Shocks and Volatility. Open Access [Working paper]
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